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v3.20.2

Residential Mortgage Securities and MSR-Related Assets (Unrealized Losses) (Details) $ in Thousands | Jun. 30, 2020 USD ($) security | Dec. 31, 2019 USD ($)
--- | --- | ---
Fair Value |  |
Less than 12 Months | $ 102,899 |
12 Months or more | 0 |
Total | 102,899 |
Unrealized Losses |  |
Less than 12 Months | 9,675 |
12 Months or more | 0 |
Total | $ 9,675 |
Number of Securities |  |
Less than 12 months (in security) | security | 13 |
12 months or more (in security) | security | 0 |
Available-for-sale securities | $ 148,343 | $ 3,983,519
Gross unrealized losses | 9,675 | 18,818
Non-Agency MBS |  |
Fair Value |  |
Less than 12 Months | 43,422 |
12 Months or more | 0 |
Total | 43,422 |
Unrealized Losses |  |
Less than 12 Months | 6,372 |
12 Months or more | 0 |
Total | $ 6,372 |
Number of Securities |  |
Less than 12 months (in security) | security | 5 |
12 months or more (in security) | security | 0 |
Available-for-sale securities | $ 54,237 | 2,063,529
Gross unrealized losses | 6,372 | 18
Expected to Recover Par |  |
Fair Value |  |
Less than 12 Months | 43,422 |
12 Months or more | 0 |
Total | 43,422 |
Unrealized Losses |  |
Less than 12 Months | 6,372 |
12 Months or more | 0 |
Total | $ 6,372 |
Number of Securities |  |
Less than 12 months (in security) | security | 5 |
12 months or more (in security) | security | 0 |
Available-for-sale securities | $ 51,672 | 725,668
Gross unrealized losses | 6,372 | 9
Total MBS |  |
Fair Value |  |
Less than 12 Months | 43,422 |
12 Months or more | 0 |
Total | 43,422 |
Unrealized Losses |  |
Less than 12 Months | 6,372 |
12 Months or more | 0 |
Total | $ 6,372 |
Number of Securities |  |
Less than 12 months (in security) | security | 5 |
12 months or more (in security) | security | 0 |
Available-for-sale securities |  | 3,728,111
Gross unrealized losses |  | 18,727
CRT securities |  |
Fair Value |  |
Less than 12 Months | $ 59,477 |
12 Months or more | 0 |
Total | 59,477 |
Unrealized Losses |  |
Less than 12 Months | 3,303 |
12 Months or more | 0 |
Total | $ 3,303 |
Number of Securities |  |
Less than 12 months (in security) | security | 8 |
12 months or more (in security) | security | 0 |
Available-for-sale securities | $ 94,106 | 255,408
Gross unrealized losses | 3,303 | $ 91
CRT in Loss Positions Only, Fair Value Option |  |
Number of Securities |  |
Available-for-sale securities | 59,500 |
Gross unrealized losses | $ 3,300 |

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